Package org.jquantlib.time

Examples of org.jquantlib.time.Calendar

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    /**
     * Initialize with a fixed reference date
     */
    public BlackVolatilityTermStructure(final Date referenceDate) {
        super(referenceDate, new Calendar(), BusinessDayConvention.Following, new DayCounter());
    }
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                new Entry( new Date(24, 1, 1973), new Date(24, 1, 1973) ),
                new Entry( new Date(25, 1, 1973), new Date(26, 1, 1973) ),
                new Entry( new Date(26, 1, 1973), new Date(26, 1, 1973) ),
            };

        final Calendar unitedStatesCalendar = new UnitedStates(UnitedStates.Market.NYSE);
        for (final Entry entry : entries) {
            final Date result = unitedStatesCalendar.adjust(entry.date, BusinessDayConvention.ModifiedFollowing);
            System.out.println("adjusted is " + result.isoDate() + "  ::  expected is " + entry.expected.isoDate());
            assertEquals(result, entry.expected);
        }
    }
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                new Entry( new Date(24, 1, 1973), new Date(24, 1, 1973) ),
                new Entry( new Date(25, 1, 1973), new Date(24, 1, 1973) ),
                new Entry( new Date(26, 1, 1973), new Date(26, 1, 1973) ),
            };

        final Calendar unitedStatesCalendar = new UnitedStates(UnitedStates.Market.NYSE);
        for (final Entry entry : entries) {
            final Date result = unitedStatesCalendar.adjust(entry.date, BusinessDayConvention.ModifiedPreceding);
            System.out.println("adjusted is " + result.isoDate() + "  ::  expected is " + entry.expected.isoDate());
            assertEquals(result, entry.expected);
        }
    }
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     * @warning term structures initialized by means of this
     *          constructor must manage their own reference date
     *          by overriding the referenceDate() method.
     */
    public BlackVarianceTermStructure() {
        this(new Calendar(), BusinessDayConvention.Following, new DayCounter());
    }
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    /**
     *  initialize with a fixed reference date
     */
    public BlackVarianceTermStructure(final Date referenceDate) {
        this(referenceDate, new Calendar(), BusinessDayConvention.Following, new DayCounter());
    }
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     * @warning term structures initialized by means of this
     *          constructor must manage their own reference date
     *          by overriding the referenceDate() method.
     */
    public LocalVolTermStructure() {
        this(new Calendar(), BusinessDayConvention.Following, new DayCounter());
    }
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    /**
     *  initialize with a fixed reference date
     */
    public LocalVolTermStructure(final Date referenceDate) {
        this(referenceDate, new Calendar(), BusinessDayConvention.Following, new DayCounter());
    }
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     * @warning term structures initialized by means of this
     *          constructor must manage their own reference date
     *          by overriding the referenceDate() method.
     */
    public BlackVolTermStructure() {
        this(new Calendar(), BusinessDayConvention.Following, new DayCounter());
    }
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    /**
     *  initialize with a fixed reference date
     */
    public BlackVolTermStructure(final Date referenceDate) {
        this(referenceDate, new Calendar(), BusinessDayConvention.Following, new DayCounter());
    }
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    public void calculate() /* @ReadOnly */ {

        final DayCounter rfdc  = process_.riskFreeRate().currentLink().dayCounter();
        final DayCounter divdc = process_.dividendYield().currentLink().dayCounter();
        final DayCounter voldc = process_.blackVolatility().currentLink().dayCounter();
        final Calendar volcal = process_.blackVolatility().currentLink().calendar();

        /*@Real*/ double s0 = process_.x0();
        QL.require(s0 > 0.0, "negative or null underlying");
        final /*@Volatility*/ double v = process_.blackVolatility().currentLink().blackVol(a.exercise.lastDate(), s0);
        final Date maturityDate = a.exercise.lastDate();
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Related Classes of org.jquantlib.time.Calendar

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  • org.jquantlib.cashflow.FixedRateLeg
  • org.jquantlib.cashflow.FloatingLeg
  • org.jquantlib.ooimpl.OptionHelper
  • org.jquantlib.osgi.std.TimeFactory
  • org.jquantlib.pricingengines.BinomialConvertibleEngine
  • org.jquantlib.pricingengines.vanilla.BinomialDividendVanillaEngine
  • org.jquantlib.pricingengines.vanilla.BinomialVanillaEngine
  • org.jquantlib.pricingengines.vanilla.JumpDiffusionEngine
  • org.jquantlib.samples.BermudanSwaption
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